Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return 0.0291
Annualized Std Dev 0.2647
Annualized Sharpe (Rf=0%) 0.1098

Row

Daily Return Statistics

Close
Observations 5588.0000
NAs 1.0000
Minimum -0.1119
Quartile 1 -0.0076
Median 0.0000
Arithmetic Mean 0.0003
Geometric Mean 0.0001
Quartile 3 0.0081
Maximum 0.1792
SE Mean 0.0002
LCL Mean (0.95) -0.0002
UCL Mean (0.95) 0.0007
Variance 0.0003
Stdev 0.0167
Skewness 0.1604
Kurtosis 7.5956

Downside Risk

Close
Semi Deviation 0.0118
Gain Deviation 0.0123
Loss Deviation 0.0123
Downside Deviation (MAR=210%) 0.0164
Downside Deviation (Rf=0%) 0.0117
Downside Deviation (0%) 0.0117
Maximum Drawdown 0.6692
Historical VaR (95%) -0.0256
Historical ES (95%) -0.0393
Modified VaR (95%) -0.0238
Modified ES (95%) -0.0306
From Trough To Depth Length To Trough Recovery
2007-10-15 2009-03-09 NA -0.6692 3382 352 NA
1999-12-30 2001-09-21 2006-05-02 -0.5936 1593 433 1160
1999-01-21 1999-02-09 1999-04-08 -0.1981 54 14 40
2006-05-09 2006-06-13 2006-10-12 -0.1710 110 25 85
1999-07-02 1999-09-23 1999-12-07 -0.1583 110 58 52

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
1999 -3.1 -1.1 3.1 0.8 -0.8 0.7 0.8 1.6 1.6 -0.8 0 -0.7 2
2000 0.8 1.7 -0.8 0.8 5.7 1.7 0 -1.6 0 2.7 0 1 12.4
2001 -0.3 -0.9 2.9 1.8 -0.7 0.2 1.9 2.3 4.6 -0.9 -1.3 1.2 11
2002 0.5 2 -0.5 -0.4 0 -1.9 1.6 0.4 -2.7 -0.6 0 -2.7 -4.3
2003 0 -0.2 2.7 -1 1.1 2.1 -1.9 0.7 2.1 -0.3 1.8 -0.8 6.4
2004 1.9 0.8 1.4 2.2 -0.3 -0.8 0 1.1 2.5 0.1 2.9 0.4 12.9
2005 0.5 0.8 -1 0.4 0.1 -0.8 1.4 1.5 -0.6 -0.9 1.4 0.4 3.3
2006 0.6 1.8 0.5 0.2 0.1 1.1 -1.7 1 0 1.3 -0.9 0.4 4.3
2007 1.6 -2.6 -0.2 0.5 -0.1 0.3 -0.6 1.8 3.5 -3.9 1.2 2.8 4.1
2008 1.3 -3.4 4.8 1.3 1.3 -1 -1.1 -0.4 0.7 -3 -9.1 -0.5 -9.4
2009 -1.7 -2.2 2.1 0.5 2.5 1.7 1 -0.9 -2.4 -3.1 1.9 -0.5 -1.4
2010 1.5 0.7 2.2 -1.4 -2.4 0.4 0.8 3.3 1.5 1.1 2.8 0.5 11.6
2011 0.9 0.3 0.5 0.3 -2 1.3 0.3 -1.2 -3.3 -3.7 -0.7 -0.9 -7.9
2012 1.1 0.9 0.9 0 -2.7 2.9 0.2 1.7 0.4 0.1 0.6 0.7 6.9
2013 0.2 0.3 -0.9 -0.9 -2 -0.9 0.9 -0.2 1 -0.1 0.1 0.8 -1.7
2014 -0.7 -0.6 0.6 0.2 -0.3 0 -0.1 -0.5 -0.6 0.8 -2 -0.4 -3.5
2015 -1.2 -0.8 0.7 0.1 -0.5 0.2 -0.8 -2.2 -0.6 -0.2 1.3 -0.6 -4.5
2016 -1.2 2.1 -0.2 -1 -0.2 0.5 0.3 0.5 0.7 -0.5 1.1 -0.9 1.1
2017 0.2 0.1 -0.2 0.5 0.7 -0.6 0.6 0.3 0.1 0.7 0.2 0.1 2.8
2018 0.3 -0.4 2.4 -0.3 0.3 0.8 -0.4 -0.3 -0.1 3 0 0 5.5
2019 -0.6 0.2 1.7 -0.2 -0.8 1.1 -1.2 0.7 0 1 -1.1 0.8 1.5
2020 -2.2 -0.6 -4.3 -3 2.7 0.6 -0.9 0.6 1.2 -1 1.4 -1 -6.5
2021 0.5 2.6 0.6 NA NA NA NA NA NA NA NA NA 3.7

Row

Price Chart

# tidytable [6 × 21]
  datadate   Close tic.x   spy   ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y   gld ret.y ret_1W.y
  <date>     <dbl> <chr> <dbl>   <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl> <chr> <dbl> <dbl>    <dbl>
1 1999-01-04  12.2 SPY    123. NA       NA            NA       NA       NA       NA       NA <NA>     NA    NA       NA
2 1999-01-05  12.1 SPY    124.  0.0114  NA            NA       NA       NA       NA       NA <NA>     NA    NA       NA
3 1999-01-06  12.8 SPY    127.  0.0241  NA            NA       NA       NA       NA       NA <NA>     NA    NA       NA
4 1999-01-07  13   SPY    127. -0.0049  NA            NA       NA       NA       NA       NA <NA>     NA    NA       NA
5 1999-01-08  13.2 SPY    128.  0.0074  NA            NA       NA       NA       NA       NA <NA>     NA    NA       NA
6 1999-01-11  13.1 SPY    127. -0.0095   0.0284       NA       NA       NA       NA       NA <NA>     NA    NA       NA
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>

Row

Rolling Performance Chart

Row

Snail Trail Chart